Myth: Women should not try any new exercise regimen once pregnant.
Although obstetricians typically recommend that pregnant women don't add new exercises to their regimen, there isn't any evidence to show such advice is warranted. The key to any good exercise program is a variety of activities, with strength training, cardiovascular endurance, and flexibility elements. Keep doing what you love or already have been doing, but try to introduce one new element—like using the elliptical machine, a new exercise class or strength training program—in case you need another option later on in pregnancy.
There really isn't a need to abruptly increase your amount of activity once pregnant. You can start a strength training program focused on your core (midsection including lower back), developing your upper body and modify it as your pregnancy advances. If you don't have any experience with strength training, start out with light weights and seek a fitness professional who specializes in prenatal exercise.
Without question, flexibility should be part of everyone's training program! For your flexibility training, I recommend prenatal yoga and a stretching program with your fitness professional. If you don't have a fitness professional then start with the prenatal yoga. You don't have to have any experience with yoga before pregnancy to start. Find a prenatal class, or look for yoga classes that are recommended for pregnant women. An introductory yoga class taught by an instructor certified in prenatal yoga would likely be just fine when prenatal classes aren't available.
Soon enough, you will learn the modifications, and you'll know what feels good and doesn't on your growing belly. As the pregnancy progresses, the prenatal classes become even more beneficial as you practice breathing, vocal toning, and squats.